NFLX Options History — September 2013

In September 2013, NFLX traded between $4.13 and $4.48. ATM implied volatility averaged 45.9%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 11.1% (HV 20d: 34.7%). Max pain ranged from $4.07 to $4.50. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.02.

Notable Days

2013-09-10: Highest Volume — 10,701,600 contracts
2013-09-23: Largest IV spike — 37.0% change
2013-09-25: Highest IV Rank — 44.9%
2013-09-25: Largest Expected Move — 18.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4.34	$4.13	$4.48	$4.13	$4.42
Max Pain	$4.23	$4.07	$4.50	$4.07	$4.43
ATM IV	45.9%	35.0%	65.1%	40.8%	64.3%
Expected Move	13.2%	10.0%	18.7%	11.7%	18.1%
HV 20d	34.7%	30.0%	39.1%	32.4%	34.5%
HV 60d	37.7%	35.9%	39.9%	39.9%	36.0%
IV Rank	16.6%	0.6%	44.9%	9.1%	43.8%
IV Percentile	25.0%	0.4%	71.4%	12.3%	71.0%
Term Structure	3.2%	-9.8%	25.4%	1.2%	-7.3%
VWIV	46.8%	35.7%	66.2%	41.9%	62.5%
Skew 25d	2.3%	1.0%	4.4%	1.9%	3.2%
Skew 10d	5.1%	2.8%	7.8%	5.1%	7.4%
Call IV 25d	45.3%	34.5%	63.7%	40.2%	61.8%
Put IV 25d	47.7%	36.4%	67.3%	42.2%	65.0%
Bid-Ask Spread %	9.16	3.50	31.49	8.94	3.50
Gamma HHI	0.10	0.05	0.42	0.09	0.06
Net GEX	25.9M	-7.8M	81.7M	23.5M	11.8M
Net DEX	-1.86B	-2.65B	-1.24B	-1.79B	-1.45B
Net VEX	-6.4M	-6.7M	-5.9M	-6.3M	-6.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.02	0.75	1.33	0.90	1.19
Total Volume	4,637,150	2,183,510	10,701,600	4,359,880	2,183,510
Total OI	20,576,843	16,910,530	23,697,940	18,766,440	17,475,360

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2013-09-03	$4.13	$4.07	40.8%	11.7%	32.4%	9.1%	41.9%	1.9%	1.2%	23.5M	-1.79B	-6.3M	0.90	8.94	N/A	N/A	2,300,760	2,059,120	8,575,140	10,191,300
2013-09-04	$4.18	$4.07	39.4%	11.3%	32.5%	7.1%	40.0%	2.0%	1.5%	31.6M	-1.93B	-6.2M	0.92	7.89	N/A	N/A	2,467,570	2,261,350	9,061,220	10,750,180
2013-09-05	$4.22	$4.07	39.3%	11.3%	30.0%	6.9%	40.1%	1.9%	1.5%	45.1M	-2.05B	-6.4M	0.97	11.18	N/A	N/A	2,154,810	2,082,780	9,559,340	11,380,390
2013-09-06	$4.16	$4.14	38.8%	11.1%	30.9%	6.1%	39.0%	1.8%	2.0%	13.6M	-1.82B	-6.4M	0.94	12.66	N/A	N/A	2,435,090	2,281,230	9,718,590	11,621,190
2013-09-09	$4.20	$4.07	38.8%	11.1%	30.9%	6.2%	39.6%	1.9%	1.6%	22.9M	-1.82B	-6.2M	1.06	17.29	N/A	N/A	1,312,360	1,392,020	8,710,380	10,415,510
2013-09-10	$4.47	$4.07	40.6%	11.6%	36.4%	8.8%	41.5%	1.7%	0.7%	53.1M	-2.65B	-5.9M	0.95	8.75	N/A	N/A	5,499,900	5,201,700	9,165,170	10,758,790
2013-09-11	$4.40	$4.29	38.5%	11.0%	37.5%	5.7%	39.6%	1.2%	1.2%	32.3M	-2.25B	-6.4M	1.33	18.05	N/A	N/A	2,831,850	3,759,560	9,939,020	12,280,590
2013-09-12	$4.31	$0.00	38.9%	11.1%	39.1%	6.3%	39.7%	1.0%	1.1%	-7.8M	-1.77B	-6.6M	1.12	31.49	N/A	N/A	2,570,750	2,884,280	10,228,890	12,827,290
2013-09-13	$4.37	$4.36	38.3%	10.9%	36.3%	5.4%	38.7%	1.8%	0.9%	33.3M	-2.16B	-6.4M	0.91	11.48	N/A	N/A	2,715,230	2,466,310	10,596,530	13,101,410
2013-09-16	$4.32	$4.07	38.3%	11.1%	36.7%	5.5%	39.7%	2.1%	14.3%	16.7M	-1.85B	-6.3M	1.27	6.31	N/A	N/A	1,437,520	1,826,230	9,149,070	11,450,880
2013-09-17	$4.28	$4.07	36.5%	10.5%	37.1%	2.8%	37.2%	1.9%	15.4%	1.4M	-1.68B	-6.4M	1.06	4.33	N/A	N/A	1,794,100	1,901,200	9,514,610	12,028,310
2013-09-18	$4.38	$4.14	35.0%	10.0%	34.1%	0.6%	35.7%	1.9%	16.5%	36.4M	-2.12B	-6.4M	1.08	3.86	N/A	N/A	1,701,490	1,842,960	9,988,650	12,428,920
2013-09-19	$4.36	$4.14	35.2%	10.1%	33.8%	0.8%	36.1%	2.1%	25.4%	31.0M	-1.96B	-6.2M	1.09	3.93	N/A	N/A	1,318,240	1,437,030	9,953,440	12,618,060
2013-09-20	$4.48	$4.14	42.6%	10.5%	34.4%	11.8%	37.4%	2.1%	25.0%	81.7M	-2.33B	-6.1M	0.75	6.09	N/A	N/A	4,424,350	3,305,680	9,888,550	12,841,150
2013-09-23	$4.31	$4.43	58.4%	18.5%	36.8%	35.0%	64.7%	3.5%	-9.4%	5.3M	-1.24B	-6.5M	0.94	4.06	N/A	N/A	3,195,430	3,008,250	7,724,220	9,186,310
2013-09-24	$4.38	$4.43	61.5%	18.5%	36.7%	39.7%	65.1%	4.3%	-9.6%	16.4M	-1.47B	-6.6M	1.07	5.61	N/A	N/A	2,162,930	2,320,010	8,479,940	10,018,960
2013-09-25	$4.39	$4.50	65.1%	18.7%	35.2%	44.9%	65.6%	4.4%	-9.8%	13.1M	-1.46B	-6.7M	0.95	6.47	N/A	N/A	1,506,540	1,426,810	8,718,430	10,609,480
2013-09-26	$4.48	$4.43	63.9%	18.5%	34.9%	43.3%	65.3%	3.1%	-3.4%	41.4M	-1.79B	-6.6M	0.98	5.63	N/A	N/A	2,146,340	2,110,220	8,938,860	10,929,310
2013-09-27	$4.46	$4.43	63.6%	18.6%	34.8%	42.8%	66.2%	3.0%	-4.6%	16.1M	-1.68B	-6.6M	1.02	5.68	N/A	N/A	1,490,090	1,527,400	9,459,240	11,254,180
2013-09-30	$4.42	$4.43	64.3%	18.1%	34.5%	43.8%	62.5%	3.2%	-7.3%	11.8M	-1.45B	-6.4M	1.19	3.50	N/A	N/A	998,270	1,185,240	7,913,710	9,561,650